A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model

K. Hout, in 't; J. Bierkens; A.P.C. Ploeg, van der; J.C.H.W. Panhuis, in 't

A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model

K. Hout, in 't, J. Bierkens, A.P.C. Ploeg, van der, J.C.H.W. Panhuis, in 't

Discrete Algebra and Geometry

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

Abstract

Without abstract.

Original language	English
Title of host publication	Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands
Editors	R.H. Bisseling, K. Dajani, T.J. Dijkema, J. Leur, van de, P.A. Zegeling
Place of Publication	Utrecht
Publisher	Utrecht University
Pages	101-105
Publication status	Published - 2007

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Hout, in 't, K., Bierkens, J., Ploeg, van der, A. P. C., & Panhuis, in 't, J. C. H. W. (2007). A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. In R. H. Bisseling, K. Dajani, T. J. Dijkema, J. Leur, van de, & P. A. Zegeling (Eds.), Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands (pp. 101-105). Utrecht University.

Hout, in 't, K. ; Bierkens, J. ; Ploeg, van der, A.P.C. ; Panhuis, in 't, J.C.H.W. / A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. editor / R.H. Bisseling ; K. Dajani ; T.J. Dijkema ; J. Leur, van de ; P.A. Zegeling. Utrecht : Utrecht University, 2007. pp. 101-105

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title = "A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model",

abstract = "Without abstract.",

author = "{Hout, in 't}, K. and J. Bierkens and {Ploeg, van der}, A.P.C. and {Panhuis, in 't}, J.C.H.W.",

year = "2007",

language = "English",

pages = "101--105",

editor = "R.H. Bisseling and K. Dajani and T.J. Dijkema and {Leur, van de}, J. and P.A. Zegeling",

booktitle = "Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands",

publisher = "Utrecht University",

address = "Netherlands",

}

Hout, in 't, K, Bierkens, J, Ploeg, van der, APC & Panhuis, in 't, JCHW 2007, A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. in RH Bisseling, K Dajani, TJ Dijkema, J Leur, van de & PA Zegeling (eds), Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. Utrecht University, Utrecht, pp. 101-105.

A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. / Hout, in 't, K.; Bierkens, J.; Ploeg, van der, A.P.C.; Panhuis, in 't, J.C.H.W.

Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. ed. / R.H. Bisseling; K. Dajani; T.J. Dijkema; J. Leur, van de; P.A. Zegeling. Utrecht : Utrecht University, 2007. p. 101-105.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

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AU - Panhuis, in 't, J.C.H.W.

PY - 2007

Y1 - 2007

N2 - Without abstract.

AB - Without abstract.

M3 - Conference contribution

SP - 101

EP - 105

BT - Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands

A2 - Bisseling, R.H.

A2 - Dajani, K.

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A2 - Zegeling, P.A.

PB - Utrecht University

CY - Utrecht

ER -

Hout, in 't K, Bierkens J, Ploeg, van der APC, Panhuis, in 't JCHW. A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. In Bisseling RH, Dajani K, Dijkema TJ, Leur, van de J, Zegeling PA, editors, Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. Utrecht: Utrecht University. 2007. p. 101-105